I did some webresearch, and found the venue (yihaa).
Not easy.. It doesn't really sound like any commercially used swimmingpool.. I can't find it in the phone listings, nor can I find a website with info on the complex. So I don't know any exact address.. but my best guess is "Carretera de la Zarzuela".. that would be the name of the street...

Anyway.. I am for sure it exists.. (see photo's below)
Coming from La Coruna(west) driving over the A6 you will probably have to take exit 7. I am not completely sure, but exit 8 is named "Hipodromo", and the swimmingpool is situated directly next to this horsetrack (at the eastside, see map).

I made a few pics when I was flying my balloon over Madrid today, and have put some info in them for you

I'll try to help all the people who came to see the europeans in Madrid.

The only way to go to the venue by public transport it is by bus, and you'll have to take the number 133 whose route is:

Pza Callao - Calle Gran Via - Pza España - Calle Princesa - Moncloa - ... - Avenida Puerta de Hierro (you have 4 stops in this avenue and you have to get off in the stop Parque Deportivo Puerta de Hierro, called Parque Sindical too, if you ask to the bus driver he'll call you in the correct stop) - ... - Mirasierra.

It's a really good bus line if you are hosted in the cyti centre, in fact in this area (around Callao - Pza España - Moncloa) you have a lot of cheaps hostels and "pensiones", if you have a look at www.munimadrid.es (tursimo / alojamientos) you can get some of this places. The trip will take you about 30' - 45', from the bus stop you 'll have to walk about 10' becose it,s a large sportclub.